Convergence Rate of an Explicit Finite Difference Scheme for a Credit Rating Migration Problem
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Publication:4581765
convergence rateerror estimatesfree boundary problemfinite difference schemediscountinuous leading order coefficient
Numerical methods (including Monte Carlo methods) (91G60) Second-order parabolic systems (35K40) Free boundary problems for PDEs (35R35) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Stability and convergence of numerical methods for initial value and initial-boundary value problems involving PDEs (65M12)
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Cites work
- scientific article; zbMATH DE number 5002671 (Why is no real title available?)
- scientific article; zbMATH DE number 1061253 (Why is no real title available?)
- scientific article; zbMATH DE number 1166343 (Why is no real title available?)
- scientific article; zbMATH DE number 3277871 (Why is no real title available?)
- A finite element like scheme for integro-partial differential Hamilton-Jacobi-Bellman equations
- A free boundary problem for corporate bond with credit rating migration
- Asymptotic traveling wave solution for a credit rating migration problem
- Convergence rate of free boundary of numerical scheme for American option
- Convergent Finite Difference Schemes for Nonlinear Parabolic Equations
- Difference-quadrature schemes for nonlinear degenerate parabolic integro-PDE
- Error Bounds for Monotone Approximation Schemes for Hamilton--Jacobi--Bellman Equations
- Error bounds for monotone approximation schemes for parabolic Hamilton-Jacobi-Bellman equations
- Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions
- Error estimates for the binomial approximation of American put options
- ON THE RATE OF CONVERGENCE OF APPROXIMATION SCHEMES FOR BELLMAN EQUATIONS ASSOCIATED WITH OPTIMAL STOPPING TIME PROBLEMS
- On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
- On the rate of convergence of difference approximations for uniformly nondegenerate elliptic Bellman's equations
- On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients
- On the rate of convergence of finite-difference approximations for Bellman's equations with variable coefficients
- On the rate of convergence of the binomial tree scheme for American options
- Optimal convergence rate of the binomial tree scheme for American options with jump diffusion and their free boundaries
- Optimal convergence rate of the explicit finite difference scheme for American option valuation
- The rate of convergence of finite-difference approximations for Bellman equations with Lipschitz coefficients
- The rate of convergence of finite-difference approximations for parabolic bellman equations with Lipschitz coefficients in cylindrical domains
Cited in
(3)- A stable time-dependent mesh method for generalized credit rating migration problem
- Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors
- Optimal convergence rate of the explicit Euler method for convection–diffusion equations II: High dimensional cases
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